Abstract I introduce a distinct challenge to religious belief: the Ethical Argument from evil. By this argument, paradigmatic forms of religious practice constitutively involve failures of ethical acknowledgement with respect to the reality of evil. I show how standard discussions of the problem of evil, as a purely logical or epistemic issue, abstract away from its fundamentally ethical dimensions. Drawing on an analogy with Moore’s paradox, I argue that the Ethical Argument presents a genuine theoretical problem, not merely a practical or pastoral one: the problem of how religious devotion can be compossible with properly acknowledging the reality of evil. I further argue that, in order properly to address this problem, the philosophy of religion needs to take a phenomenological turn. To illustrate this approach, I focus on the case of thankful prayer and draw out from Kierkegaard’s writings a religious ideal of unconditional gratitude. Developing the relevant notion of a failure of ethical acknowledgement in terms of two vices—wishful self-deception and spiritualized self-absorption—I show how Kierkegaard’s account can help us to assess whether expressions of religious devotion are objectionable on these grounds.